简介:Traditionalportfoliotheoryassumesthatthereturnrateofportfoliofollowsnormality.However,thisassumptionisnottruewhenderivativeassetsareincorporated.Inthispaperaportfolioselectionmodelisdevelopedbasedonutilityfunctionwhichcancaptureasymmetriesinrandomvariabledistributions.Otherrealisticconditionsarealsoconsidered,suchasliabilitiesandintegerdecisionvariables.Sincetheresultingmodelisacomplexmixed-integernonlinearprogrammingproblem,simulatedannealingalgorithmisappliedforitssolution.Anumericalexampleisgivenandsensitivityanalysisisconductedforthemodel.
简介:AbstractThepurposeofthearticleistoformulate,underthel_∞riskmeasure,amodelofportfolioselectionwithtransactioncostsandtheninvestigatetheoptimalstrategywithintheproposed.Thecharacterizationofaoptimalstrategyandtheefficientalgorithmforfindingtheoptimalstrategyaregiven.
简介:TheVaR,anewappearingfinancialrisk-managetool,havebeenappliedwidely.ManyfinancialsetupshaveaccustomedtomeasuretheriskofaportfoliowiththeVaR.SoitisverynecessarytodiscusstheportfoliochoiceproblemundertheVaRconstraint.Inthispaper,bysettingandsolvingtheportfoliochoicemodelundertheVaRconstraint,weillustratethattheuseoftheVaRconstraintreducesthearrayofchoicetoamoremanageablerange.TheprobabilityoftragetVaR,therefore,canbethoughtofasarisktoleranceassessmenttool(whencoupledwithanothermeasureofrisk).
简介:Thepaperdescribedthreemethodsofscalingthebondportfolioprice.Theywereduration,convexityandtimevalue.FromtheprincipleofNo-arbitrage,therewasoneandonlyonerelationshipofduration,convexityandtimevalue.ItchosethreecorporationbondsofChinaandanalyzedtheriskoftwoinvestmentstrategies.
简介:在这份报纸,从钱的时间价值的观点,我们与折扣因素为公事包向量学习风险措施。为公事包向量的现金subadditive风险措施被建议。表示结果被是凸的分析并且扩大空间的二个不同方法给。特别,凸的分析的方法做推理和表示结果的线更简单。同时,看到向量也被介绍,并且在他们之间的关系被调查并且为公事包提交风险措施。
简介:Portfoliomanagementisatypicaldecisionmakingproblemunderincomplete,sometimesunknown,information.Thispaperconsiderstheportfolioselectionproblemsunderageneralsettingofuncertainstateswithoutprobability.Theinvestor'spreferenceisbasedonhisoptimumdegreeaboutthenature,andhisattitudecanbedescribedbyanOrderedWeightedAveragingAggregationfunction.WeconstructtheOWAportfolioselectionmodel,whichisanonlinearprogrammingproblem.Theproblemcanbeequivalentlytransformedintoamixedintegerlinearprogramming.Anumericalexampleisgivenandthesolutionsimplythattheinvestor'sstrategiesdependnotonlyonhisoptimumdegreebutalsoonhispreferenceweightvector.Thegeneralgame-theoreticalportfolioselectionmethod,max-minmethodandcompetitiveratiomethodareallthespecialsettingsofthismodel.
简介:Corporationsneedtoimprovebusinessprocessesinordertoenhancevelocityandservicelevelswhilereducingtheirprocessingcostsanddifferentiatingthemselvesinthefaceofcompetition.ThelevitationofimportancebeyondsupportroleshasraisedITinvestmentdecisionstohighpriorityinchiefexecutiveofficers′agendas.CorporateplanninggroupsaswellaslinesofbusinessareincreasinglyapplyingtechniquesofITapplicationsportfoliomanagementinamoresystematicfashiontoimprovedecision-maltingandresource-allocationprocesses.RecentadvancesinsoftwareengineeringandITservicedeliverymethodologieshaveachievedthelogicalseparationofbusinessfunctionsfromimplementation.ThisseparationhasmadeanewbreedofinnovativeITprojectpossiblewithanewprojectriskstructure;theadjustmentofportfoliomanagementtechniquesisappropriate.Wepresentanintegratedportfoliomanagementmodelsothatthecorporationcanfocusonorganicgrowththroughsourcesatboththedepartmentandtopmanagementlevels.Theresearchgivesclearadviceastohowtopmanagementcanseekeconomicgrowthbyselectinganentrepreneurialstrategicposture,implyingastrongrisk-takingpropensity.Byintegratingarisk-returnmodelandrisk-toleranceparadigmtocopewithtoday′sriskstructure,overallcapabilitiescanimprovethedecisionprocessandthecorporation'sperformanceaswell.TheapplicationoftheintegratedtechniquetoaJapanesemanufacturingfinnisdescribed.
简介:在这份报纸,我们与多重时间时期在一根计划地平线上为工程公事包选择问题开发一个扩大模型。模型为真实应用程序同时合并工程可分性和互相依赖的因素。工程可分性作为在文学被看作策略,不是一个不幸的事件,在选择为工程,和在充分执行的工程之中的工程互相依赖的古典概念的最好的实行时间表然后被扩大到执行工程的部分。再投资考虑的另外的限制,安装费用,集的势限制,领先关系并且安排也在模型被包括。为有效计算,等价物混合了整数建议模型的线性编程表示被导出。在四种情形下面的数字例子被举加亮建议模型的特征。特别地,工程可分性的积极效果第一次被显示出。